Well… you have to buy the game cartridges at any game retailer. Gamestop, Target, etc… you CAN download games if you want, but that would require a flashcard which you need to order online. Not sure if you want to do that so I'll answer that question if you ask it later.

I'm going to assume you got the download idea from one of the options in the main menu of the DS. First off, you can't actually download whenever or wherever you want. There needs to be a source somewhere nearby. Secondly, it doesn't download a full game; only demos which actually delete themselves as soon as you turn the DS off.

Hope that helps.